AR( infinity ) estimation and nonparametric stochastic complexity

DOI10.1109/18.165449MaRDI QIDQ4024553zbMATH OpenOpenAlexFDO

Authors László Gerencsér

Publication date 4 February 1993

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/18.165449

zbMATH Keywords

model order determination problemsstochastic complexity

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Stochastic systems in control theory (general) (93E03) Estimation and detection in stochastic control theory (93E10) Least squares and related methods for stochastic control systems (93E24)

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Cited in

(15)

• On same-realization prediction in an infinite-order autoregressive process.
• Nonasymptotic bounds for autoregressive time series modeling.
• Selecting optimal multistep predictors for autoregressive processes of unknown order.
• Twenty-one ML estimators for model selection
• On stochastic gradient Langevin dynamics with dependent data streams in the logconcave case
• Convergence of the least-squares method with a polynomial regularizer for the infinite-dimensional autoregression equation
• An open problem on strongly consistent learning of the best prediction for Gaussian processes
• Banded regularization of autocovariance matrices in application to parameter estimation and forecasting of time series
• Nonparametric sequential prediction of time series
• Prediction errors in nonstationary autoregressions of infinite order
• On stochastic complexity and nonparametric density estimation
• On fixed gain recursive estimators with discontinuity in the parameters
• Negative Moment Bounds for Stochastic Regression Models with Deterministic Trends and Their Applications to Prediction Problems
• Estimation of AR and ARMA models by stochastic complexity
• Strong consistency of the regularized least-squares estimates of infinite autoregressive models

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